方法对比
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| 结构向量自回归 (SVAR)× | 自回归移动平均模型 (ARMA)× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1980 | 1970 |
| 提出者≠ | Sims (1980); identification schemes by Blanchard & Quah (1989) | George E. P. Box and Gwilym M. Jenkins |
| 类型≠ | Multivariate time series model | Time series model |
| 开创性文献≠ | Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673. link ↗ | Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗ |
| 别名 | SVAR, structural vector autoregression, identified VAR, structural VAR model | ARMA, Box-Jenkins model, autoregressive moving average, AR(p)MA(q) |
| 相关 | 5 | 5 |
| 摘要≠ | Structural VAR extends the reduced-form VAR by imposing economic theory-based restrictions that identify orthogonal structural shocks. This allows researchers to disentangle the causal effects of distinct economic disturbances — such as supply versus demand shocks — and trace their dynamic propagation through a system of variables via impulse response functions and forecast error variance decompositions. | The ARMA(p,q) model describes a stationary time series as a combination of two components: an autoregressive part that regresses the current value on its own past p values, and a moving average part that accounts for past q error terms. It is the foundational framework of the Box-Jenkins methodology for univariate time series modelling and short-run forecasting. |
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